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SUMMARY:A backward particle interpretation of Feynman-Kac formulae with ap
 plications to filtering and smoothing problems - Del Moral\, P (Bordeaux)
DTSTART:20100615T080000Z
DTEND:20100615T085000Z
UID:TALK25217@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We design a particle interpretation of Feynman-Kac measures on
  path spaces based on a backward Markovian representation combined with a 
 traditional mean field particle interpretation of the flow of their final 
 time marginals. In contrast to traditional genealogical tree based models\
 , these new particle algorithms can be used to compute normalized additive
  functionals on-the-fly as well as their limiting occupation measures with
  a given precision degree that does not depend on the final time horizon. 
 We provide uniform convergence results w.r.t. the time horizon parameter a
 s well as functional central limit theorems and exponential concentration 
 estimates\, yielding what seems to be the first results of this type for t
 his class of models. We also illustrate these results in the context of fi
 ltering and path estimation problems\, as well as in computational physics
  and imaginary time Schroedinger type partial differential equations\, wit
 h a special interest in the numerical approximation of the invariant measu
 re associated to h-processes. \nThis is joint work with Arnaud Doucet\, an
 d Sumeetpal Singh. \n
LOCATION:Seminar Room 1\, Newton Institute
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